Maybe "I Hate Myself For Loving You" by Joan Jett & The Blackhearts? Of course, that's more mental masochism than the physical kind.
There's a pretty funny masochistic emo parody of the Divinyls' "I Touch Myself" called "
I Cut Myself" on YouTube.
John Cougar Mellencamp's "Hurts So Good" comes to mind as well, though I'm not sure exactly what kind of pain he's talking about in the lyrics.
And oh yes, Weird Al Yankovic had a couple of songs about physical pain, although not so much about enjoying it as about how it couldn't be anything worse than what a girlfriend did to the singer. "Since You've Been Gone" is pretty good for describing the singer's torture since his girlfriend left him, but my absolute favorite for painful descriptions would be "One More Minute" which starts with the singer saying he'd rather spend an eternity eating shards of broken glass than spend one more minute with his ex, and goes downhill from there.
If you ever think you might want something more serious, about the only one I've ever heard is "
When She Wears Black" by Keep Left, a song about a woman tearing out her hair to ease her loneliness.